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2010
- ISSN: 2010-023X (Print)
- Abbreviated Title: Int. J. Trade, Economics and Financ.
- Frequency: Quaterly
- DOI: 10.18178/IJTEF
- Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
- Managing Editor: Ms. Shira. W. Lu
- Abstracting/ Indexing: Crossref, Electronic Journals Library , EBSCO
- E-mail: ijtef.editorial.office@gmail.com
IJTEF 2012 Vol.3(6): 445-449 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2012.V3.243
DOI: 10.7763/IJTEF.2012.V3.243
Diversification in Portfolio Risk Management: The Case of the UAE Financial Market
Ikhlaas Gurrib and Saad Alshahrani
Abstract—The paper looks at the existence of portfolio risk
management for the UAE Financial Market. The research
methodology centers on applying Modern Portfolio Theory,
with particular emphasis on the Markowitz Efficient Frontier,
Minimum Variance Analysis, and Portfolio Optimization. The
data is essentially based on the top performing sectors of the
UAE economy, and twenty key companies are chosen from each
sector to test for diversification. Key findings suggest that the
risk of the portfolio is lower than the weighted risk of the twenty
individual stocks, i.e. efficient diversification can be achieved.
Index Terms—Efficient diversification, portfolio optimization, UAE financial market.
I. Gurrib is with the Canadian University of Dubai, Sheikh Zayed Road, PO Box 117781, Dubai, United Arab Emirates (e-mail: ikhlaas@cud.ac.ae).
S. Alshahrani is with the International Monetary Fund (IMF), Fiscal Affairs Department, 700 19th St, Washington, DC 20431, USA. (e-mail:salshahrani@imf.org).
Index Terms—Efficient diversification, portfolio optimization, UAE financial market.
I. Gurrib is with the Canadian University of Dubai, Sheikh Zayed Road, PO Box 117781, Dubai, United Arab Emirates (e-mail: ikhlaas@cud.ac.ae).
S. Alshahrani is with the International Monetary Fund (IMF), Fiscal Affairs Department, 700 19th St, Washington, DC 20431, USA. (e-mail:salshahrani@imf.org).
Cite:Ikhlaas Gurrib and Saad Alshahrani, "Diversification in Portfolio Risk Management: The Case of the UAE Financial Market," International Journal of Trade, Economics and Finance vol.3, no.6, pp. 445-449, 2012.